Make sure you double check exactly what you click on, there's some really nasty people out there.
Try to run more than one Anti-virus and Ad-aware scanner, if one of them misses something the other should pick it up.
Keep your software up to date, I update twice a week to be sure.
I've been lucky, I download from all sorts of places and have yet to get anything truly nasty (runs around touching all the wood he can find cos he thinks he's just cursed himself).
I thought I felt someone touching my wood and I was hoping it wasn't you. 